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Hedging Interest Rate Risk with Futures Portfolios under Term Structure Effects
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Hedging Interest Rate Risk with Futures Portfolios under Term Structure Effects (1984)Hedging Interest Rate Risk with Futures P…From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’ (2017)From ‘Some Theoretical Proble…Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)Coping with the Risk of Inter…Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital (1981)Federal Deposit Insurance, Re…The Hedging Performance of the New Futures Markets: Comment (1980)The Hedging Performance of th…Hedging and Joint Production: Theory and Illustrations (1980)Hedging and Joint Production:…Hedging and Joint Production: Theory and Illustrations (1980)Hedging and Joint Production:…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…The Efficiency of the Treasury Bill Futures Market (1979)The Efficiency of the Treasur…Duration and the Measurement of Basis Risk (1979)Duration and the Measurement …A continuous time approach to the pricing of bonds (1979)A continuous time approach to…Duration Forty Years Later (1978)Duration Forty Years LaterImmunization, Duration, and the Term Structure of Interest Rates (1977)Immunization, Duration, and t…Taxation by Regulation (1971)Taxation by RegulationCoping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies (1971)Coping with the Risk of Inter…Review of the Principles of Life-office Valuations (1952)Review of the Principles of L…Value and Capital (1939)Value and CapitalThe Theory of Price. (1954)Inflation and Environmental Concern: Structural Change in the Process of Public Utility Price Regulation (1974)Cartels, competition and regulation in the property-liability insurance industry (1992)Designing Federalism (2004)BEHAVIOR OF THE FIRM UNDER REGULATORY CONSTRAINT (2016)A Theory of the Term Structure of Interest Rates (1985)Theory of rational option pricing (2005)Asymmetric stock market volatility and the cyclical behavior of expected returns (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The relation between forward prices and futures prices (1981)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CORPORATE INCOME TAXES AND THE COST OF CAPITAL: A CORRECTION (1963)Loan Sales and the Cost of Bank Capital (1988)Deposit Insurance and Wealth Effects: The Value of Being "Too Big to Fail" (1990)Prudential Regulation for Banks (1995)The cost of capital, corporation finance and the theory of investment (2008)New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates (1989)Implied Equity Duration: A New Measure of Equity Risk (2004)Default and the Maturity Structure in Sovereign Bonds (2012)A Multivariate Model of the Term Structure (1980)Term Structure Modeling Using Exponential Splines (1982)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Self-fulfilling prophecies (1981)The contingent valuation method: a review (2003)Rare Disasters, Asset Prices, and Welfare Costs (2009)The Financial Theory of Defined Benefit Pension Schemes (1997)The Cohort Effect: Insights and Explanations (2004)A Risk Minimizing Strategy for Portfolio Immunization (1984)Monetary Policy, Loan Liquidation, and Industrial Conflict: The Federal Reserve and the Open Market Operations of 1932 (1984)
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References

  • 1939Value and Capital2,893 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1979A continuous time approach to the pricing of bonds796 cited
  • 1981Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital525 cited
  • 2017From ‘Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yield, and Stock Prices in the United States Since 1856’504 cited
  • 1971Taxation by Regulation504 cited
  • 1952Review of the Principles of Life-office Valuations380 cited
  • 2017Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*305 cited
  • 1971Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies271 cited
  • 1979Duration and the Measurement of Basis Risk225 cited
  • 1978Duration Forty Years Later184 cited
  • 1977Immunization, Duration, and the Term Structure of Interest Rates172 cited
  • 1980Hedging and Joint Production: Theory and Illustrations140 cited
  • 1979The Efficiency of the Treasury Bill Futures Market138 cited
  • 1980Hedging and Joint Production: Theory and Illustrations109 cited

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  • 1980The Hedging Performance of the New Futures Markets: Comment93 cited
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